The 45-year-old actress recently did an interview with the UK's The Guardian where she flatly admitted, "I wanted a better death."
Though Headey had misgivings about Cersei's death in the penultimate episode of the hit show, she also admitted that with a program this popular, pleasing everyone -- including her -- was simply impossible.
"Obviously you dream of your death," she told the publication. "You could go in any way on that show. So I was kind of gutted. But I just think they couldn't have pleased everyone. No matter what they did, I think there was going to be some big comedown from the climb."
In the show's final battle scene, Daenerys' (Emilia Clarke) became unhinged and attacked King's Landing from the sky, coaxing her final dragon to spew fire at the city's inhabitants and decimating the Red Keep. Deep in the castle's bowels, Cersei and her twin brother/lover, Jaime Lannister (Nikolaj Coster-Waldau), were buried under rubble.
Headey's commentary isn't the first time she has expressed some disappointment at how her storyline drew to a close on the massive show. In May, she told Entertainment Weekly that, her reaction to Cersei's death was "mixed."
"I wanted her to have some big piece or fight with somebody," she explained, later adding that conversations with Coster-Waldau helped her make sense of the unceremonious end for the show's long-standing baddie.
"The more we talked about it the more it seemed like the perfect end for her," Headey said. "They came into the world together and now they leave together."
However, at least one of Headey's co-stars, Sophie Turner, didn't hesitate to admit to ET that she liked how her own character ended up on the show -- ruling as Queen of the North in Winterfell.
"I love the way that Sansa's journey ended," she said while promoting Dark Phoenix in May. "I think it was kind of the one thing that she wanted throughout the whole show…to be home and to be where she felt most safe and comfortable and that's Winterfell. She's totally capable of leading those people."
During the interview, the 23-year-old actress also said that from the show's earliest days, Sansa quickly realized that she didn't want to rule Westeros.
"Since she got to King's Landing in season one, she never wanted that Iron Throne," she shared. "She never wanted to rule over that many people… I think, watching how this character finished on Game of Thrones was the most satisfying ending."
See more updates from Turner down below.